A-Share Screening by Intraday Auction Value and Limit-Up Conditions
Summary
This A-share screening approach combines an amplitude filter above 1, exclusion of ST-designated stocks, and an unspecified five-part limit-up method. It is intended for use before 10 a.m.; among stocks that pass the conditions, it selects the five with the highest auction value for purchase. The article says ranking by auction value may favor more liquid stocks and help trades complete sooner, but it provides no backtest or performance evidence.
The method is described only in broad terms, and the accompanying example code defines amplitude using the day’s high and low as well as the previous close, then uses a five-day closing-price maximum as its limit-up proxy. Those implementations do not fully explain the named method or establish that the signals are available at the stated selection time. The article also flags market-wide conditions and delayed auction information as risks, and suggests adding dynamic indicators and fundamental data. These are suggestions rather than tested improvements.
Key ideas
- The screen excludes ST stocks and requires amplitude above 1.
- It applies an unspecified five-part limit-up method and is intended to run before 10 a.m.
- It ranks qualifying stocks by current auction value and selects the top five.
- The article offers no performance results and notes market context and data timing as limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.